+1 on Bridge of Birds.
At least one of Terri Windling's ``Fairy Tale'' books have non-Occidental settings --- Kara Dalkey's _The Nightingale_ is set in Japan.
T.C. Rypel wrote a series of books about ``Gonji'', a half-caste Samurai which make their way towards Europe (not sure if they ever get there or no)
Judith Tarr's _Alamut_ primarily takes place in the Middle East.
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